[R] Diebold Mariano

[Brajkovic J.]

Hello, 
I am trying to calculate Diebold Mariano test statistic (DM) using dm.test module. I also try to do the same thing with STATA and I get vastly different results (4.5 vs 25). Does someone have experience with this module? 

I tried to calculate the DM statistic manually. If by “d” I define the difference of squared forecast errors for two models, then DM=mean(d)/sqrt(long_run_var(d)). To calculate long run variance of d I use newey west standard errors. What I don’t understand in newey west command is meaning of “prewhite”. Any help? 

Thanks!